On the equilibrium of insider trading under information acquisition with long memory
From MaRDI portal
Publication:6175331
DOI10.3934/JIMO.2022255OpenAlexW4313051398MaRDI QIDQ6175331
Publication date: 21 July 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022255
Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Financial markets (91G15)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Equilibrium model with default and dynamic insider information
- Dynamic Markov bridges motivated by models of insider trading
- Continuous auctions and insider trading: uniqueness and risk aversion
- Existence of linear strategy equilibrium in insider trading with partial observations
- Neutral and indifference pricing with stochastic correlation and volatility
- Partially informed noise traders
- Insider trading equilibrium in a market with memory
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Insider trading with memory under random deadline
- An approximate approach to fractional analysis for finance
- Insider trading with correlation between liquidity trading and a public signal
- Continuous Auctions and Insider Trading
- Information Acquisition in a Noisy Rational Expectations Economy
- Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs
- Information Acquisition and Welfare
- On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models: Figure 1
- Insider Trading, Stochastic Liquidity, and Equilibrium Prices
- Insider Trading With a Random Deadline
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Information in Securities Markets: Kyle Meets Glosten and Milgrom
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: On the equilibrium of insider trading under information acquisition with long memory